IP Options History — December 2012

In December 2012, IP traded between $33.59 and $37.21. ATM implied volatility averaged 24.0%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.2% (HV 20d: 19.8%). Max pain ranged from $31.75 to $32.69. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-12-20: Highest Volume — 37,185 contracts
  • 2012-12-11: Largest IV drop — 7.6% change
  • 2012-12-28: Highest IV Rank — 30.9%
  • 2012-12-10: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.49$33.59$37.21$34.38$37.21
Max Pain$32.13$31.75$32.69$32.69$32.69
ATM IV24.0%22.4%25.4%23.5%25.2%
Expected Move7.0%6.5%7.4%6.7%7.2%
HV 20d19.8%15.5%24.0%24.0%18.5%
HV 60d24.7%22.6%28.5%28.5%23.4%
IV Rank20.5%10.8%30.9%15.9%30.0%
IV Percentile25.0%8.3%41.7%18.3%41.3%
Term Structure3.6%1.6%4.7%1.8%3.9%
VWIV25.2%23.9%27.2%24.0%25.6%
Skew 25d3.3%1.9%4.2%3.7%2.3%
Skew 10d7.0%4.1%10.2%6.3%4.8%
Call IV 25d23.4%22.1%25.0%22.4%25.0%
Put IV 25d26.7%24.8%28.2%26.1%27.3%
Bid-Ask Spread %7.763.7412.778.267.64
Gamma HHI0.200.180.230.190.21
Net GEX15.2M11.2M20.2M13.2M14.2M
Net DEX-258.9M-367.3M-145.8M-198.1M-323.3M
Net VEX-1.1M-1.2M-958.4K-1.2M-958.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.071.601.601.39
Total Volume5,804.7563137,1852,4326,283
Total OI265,956.05239,017279,626269,639241,186

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$34.38$32.6923.5%6.7%24.0%15.9%24.0%3.7%1.8%13.2M-198.1M-1.2M1.608.269341,498185,22284,417
2012-12-04$33.85$32.6924.9%7.1%24.0%22.6%25.3%4.0%1.8%11.5M-164.0M-1.2M0.979.721,8361,779185,10784,642
2012-12-05$33.65$32.6924.5%7.0%24.0%20.7%24.6%4.1%1.6%11.3M-153.1M-1.1M0.4212.771,352568185,52885,126
2012-12-06$33.59$32.6924.1%6.9%23.0%18.9%24.3%3.7%1.8%11.2M-145.8M-1.1M1.2211.661,0441,277185,60685,159
2012-12-07$33.66$31.7523.2%7.3%22.2%14.8%26.9%4.2%3.3%11.3M-151.0M-1.1M0.4310.11706303186,20485,326
2012-12-10$33.93$31.7524.2%7.4%22.1%19.5%27.2%4.2%3.3%12.4M-167.3M-1.1M0.747.68362269186,38985,301
2012-12-11$34.68$31.7522.4%7.1%23.0%10.8%25.0%3.7%3.8%14.6M-215.3M-1.1M0.668.541,5481,017186,43085,314
2012-12-12$34.91$31.7523.1%7.3%22.6%14.2%27.2%4.1%3.4%15.0M-228.5M-1.2M0.818.743,5642,887187,00785,329
2012-12-13$35.15$31.7524.6%7.1%20.4%21.5%25.9%3.9%3.6%15.7M-246.3M-1.2M0.618.722,3531,426186,81685,390
2012-12-14$35.54$31.7524.3%7.0%20.4%20.0%24.6%3.8%4.2%17.0M-273.6M-1.2M0.236.414,6161,081187,20085,373
2012-12-17$35.64$31.7524.7%7.1%19.8%21.8%25.5%4.0%3.9%17.4M-278.4M-1.1M0.487.471,542748187,46185,757
2012-12-18$36.37$31.7523.5%6.8%17.0%20.2%24.5%3.9%4.5%18.3M-321.9M-1.1M0.476.502,2841,080185,66886,117
2012-12-19$36.33$31.7523.6%6.8%16.6%20.7%23.9%3.3%4.5%19.1M-326.2M-1.1M0.116.9417,3081,834185,83386,505
2012-12-20$36.97$31.7522.8%6.5%17.2%15.6%24.0%1.9%4.7%17.9M-357.0M-1.0M0.076.2534,7402,445174,18786,709
2012-12-21$36.71$31.7523.7%6.8%16.6%21.0%24.3%2.4%4.6%20.2M-367.3M-1.1M0.515.532,4461,257191,61488,012
2012-12-24$36.86$31.7524.4%7.0%16.3%25.3%24.9%2.3%4.3%19.4M-350.0M-1.1M0.423.742,055857187,76483,152
2012-12-26$37.07$32.6924.1%6.9%16.3%23.2%24.2%2.0%4.3%17.4M-327.6M-1.0M0.305.412,697809174,11083,540
2012-12-27$37.00$32.6923.9%6.8%15.5%22.1%25.0%2.2%4.3%14.1M-311.6M-975.0K0.517.141,690865155,22283,795
2012-12-28$36.34$32.6925.4%7.3%17.1%30.9%26.4%2.5%4.1%13.8M-272.6M-983.3K0.446.053,2931,442155,35384,250
2012-12-31$37.21$32.6925.2%7.2%18.5%30.0%25.6%2.3%3.9%14.2M-323.3M-958.4K1.397.642,6333,650156,11785,069